Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1206
Annualized Std Dev 0.4574
Annualized Sharpe (Rf=0%) 0.2636

Row

Daily Return Statistics

Close
Observations 3422.0000
NAs 1.0000
Minimum -0.2360
Quartile 1 -0.0112
Median 0.0020
Arithmetic Mean 0.0009
Geometric Mean 0.0005
Quartile 3 0.0142
Maximum 0.2220
SE Mean 0.0005
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0018
Variance 0.0008
Stdev 0.0288
Skewness -0.4430
Kurtosis 7.3112

Downside Risk

Close
Semi Deviation 0.0213
Gain Deviation 0.0196
Loss Deviation 0.0234
Downside Deviation (MAR=210%) 0.0250
Downside Deviation (Rf=0%) 0.0209
Downside Deviation (0%) 0.0209
Maximum Drawdown 0.8968
Historical VaR (95%) -0.0452
Historical ES (95%) -0.0722
Modified VaR (95%) -0.0458
Modified ES (95%) -0.0895
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2013-11-15 -0.8968 1589 410 1179
2020-02-13 2020-03-23 2020-11-16 -0.6648 193 27 166
2018-01-29 2018-12-24 2019-11-04 -0.4384 429 212 217
2015-03-03 2016-01-20 2016-07-08 -0.3116 283 187 96
2014-06-10 2014-10-14 2014-11-06 -0.1926 104 87 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.2 1 0.5 0.1 -0.4 -1 2.3 3.5 -4.4 0.8 -2.4 0
2008 3 -4.9 6.2 3.5 1.6 -0.4 -0.9 -2.4 -4.9 3.8 -16.7 4.3 -9.8
2009 -5.5 -4.1 3.3 2 9.3 1.7 1.3 -3.9 -5.3 -5.7 2.7 -2.6 -7.6
2010 3 2.6 1.5 -4.4 -4.8 -1.4 0.5 7.7 0.5 -0.1 5.1 0 9.9
2011 3.5 -4.1 1.6 0.5 -5.9 3.5 -1.4 -3.2 -6 -6.4 -0.8 -0.5 -18.1
2012 2.9 0.6 0.2 1.2 -6 6.6 -0.6 1.3 0.2 3.5 0.3 2.4 12.7
2013 1.8 -0.4 -1.8 -2.6 -1.1 0.8 3.1 -1.2 1.3 0 0 0.9 0.6
2014 -1.3 0.5 1.4 0.3 1 1.5 -0.6 0 -2.9 2.2 -3 -0.7 -1.8
2015 -1.3 -0.3 -1.6 -0.1 0.5 -0.4 3.1 -6.1 2.1 0.4 0.1 -2.2 -5.9
2016 0.5 2.5 2 -3.3 -0.7 1.5 -0.3 0.9 2.8 -1.4 -0.3 -1.4 2.7
2017 0.2 4.3 -0.1 0.3 1.1 2.2 -0.7 0.5 0.3 -0.5 0 0.3 8.1
2018 -0.8 -1.6 3.8 -2.8 2.6 2.8 -0.7 0.4 1.3 2.8 1.3 1.4 10.6
2019 0.5 1 4.1 -2 -2.4 0.9 -3.4 0.7 -4.3 3.8 -1.1 0.1 -2.5
2020 -4.6 -3.2 -9.9 -6.4 0.6 -0.6 -0.8 1.7 -0.3 -2.1 0.8 1.1 -21.8
2021 2.8 5 -1 NA NA NA NA NA NA NA NA NA 6.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart